Are Tick Replay and Bid and Ask historical files really necessary?

[Ricam]

That was a very helpful response. I applied that method to a delta and cumulative delta indicator and it worked great. There is a tremendous overall reliability improvement after having been able to ditch tick replay.

The related help articles, and sample indicators such as buy sell pressure, should be updated accordingly

Is there a way to get the bid and ask associated with a last price in a Bar Type? Comparing the bid, ask and last works in real time but is not accurate for the backfill.

[NinjaTrader_Brett]

In BarType the OnDataPoint() as bid and ask parameters which are populated for 1 tick series.

We may consider updating BuySellVolume to use the 1 tick secondary series approach.

[Ricam]

On the Big Mike forum one of the contributors posted a bar type using this approach to plot constant delta bars. It seems to work accurately in real time, but the bar cutoffs appear to be somewhat "off" for historical backfill.

[NinjaTrader_Brett]

OK. Can't comment without taking a look. If there is an issue please report it with steps I could use to reproduce with your expected result and actual result and I'll take a look.

[Ricam]

Different stories from different folks

In this post Patrick H seems to contradict what Brett says about tick replay and bid ask historical data.

https://ninjatrader.com/support/forum/showthread.php?t=107069

"Will it still be necessary to use Tick Replay to access accurate historical values of the best bid and ask associated with each "last" price?" - Ricam

"Yes, this will still be necessary." - Ninjatrader Patrick H.

Note that until Brett's recent clarification the story always was that the only way to access the historical bid ask data was by using OnMarketData with tick replay. I repeatedly questioned this and the answer was always the same.

[Ricam]

problem with indicators using one tick secondary data series

The following pitfalls must be borne in mind when coding an indicator that uses a one tick secondary data series and runs in NON tick replay.

In tick replay mode the historical data for the primary and secondary series are in the correct order and these problems do not happen.

For historical NON tick replay there is only one tick per each bar of the primary series, BIP = 0.. This is the LAST tick of the primary bar NOT the first tick. This raises two problems.

1. The historical data of the secondary series BIP =1 gets assigned to the wrong bar of the primary series and needs to be shifted forward one bar position to the right on the chart.
2. After the first tick of bar of the primary series, which is really the last tick of that bar, the very next tick of the secondary series is for the same trade that triggered the immediately preceding BIP = 0 event. So the data associated with that secondary tick needs to be assigned to the PREVIOUS bar on the chart because it happened during the LAST tick of the primary bar that JUST ENDED.

Another problem is that when the indicator transitions from historical to real time these conditions no longer apply but the techniques used to correct them may result in a discontinuity in the plot such as a zero value.

[NinjaTrader_PatrickH]

Hello Ricam,

Thank you for your post.

Brett is correct here and he had spoken to me about this thread. Thank you for bringing up the other thread as I can go back there and add a post correcting my earlier post.

In this post Patrick H seems to contradict what Brett says about tick replay and bid ask historical data.

Note that until Brett's recent clarification the story always was that the only way to access the historical bid ask data was by using OnMarketData with tick replay. I repeatedly questioned this and the answer was always the same.